IPO詢價圈購之承銷商配售行為

Allocations in IPO Bookbuilding

陳薇如(Wei-Ju Chen)

《證券市場發展季刊》 26卷3期 (2014/09) Pp. 97-132

https://doi.org/10.6529/RSFM.2014.26(3).3

摘要

我國自民國93年開始，IPO案件主要以詢價圈購的方式進行。詢價圈購與競價拍賣及公開申購的最大差異在於承銷商具有股票分配的裁量權，而究竟承銷商是如何運用此裁量權目前的實證證據相當有限。本研究採用民國93年5月至民國96年5月，共計69家採詢價圈購承銷之台灣IPO公司為樣本，運用各樣本公司的逐筆圈購與配售資料，探討承銷商的配售行為並驗證詢價圈購的相關理論。實證結果顯示，限價圈購單獲得顯著較高的分配與圈購獲利，符合詢價圈購的資訊取得理論；此外，承銷商的分配相當重視股權分散的考量，小額圈購單獲得較多的分配與獲利；在對機構投資人及自然人的分配行為部份，機構投資人獲得較高的分配但卻未有顯著較高的獲利，符合承銷風險的保險假說，而機構投資人與自然人在限價圈購單及大額圈購單的配售敏感度並無顯著差異；最後，承銷商的分配裁量權會隨著超額認購情形的上升而增加。

關鍵字

詢價圈購 ； 配售行為 ； 裁量權 ； 資訊取得理論

並列摘要

In Taiwan, it has become a common practice since 2004 that IPO shares are sold mainly through bookbuilding. The key distinguishing feature of IPOs conducted by bookbuilding, as opposed to auctions or public offers, is that the underwriters have discretion over who receives allocations. However, there remains very limit evidences on how this discretion is exercised. In this paper, we study a unique data set that comprises the books of 69 IPO's bookbuilding issues in Taiwan between May 2004 and May 2007, to investigate the allocation decision of the underwriters and tests theories about bookbuilding. Empirical results indicate that underwriters favor limit bids by giving larger allocations and profits. This finding is consistent with the information extraction theories. The underwriters also favor small bids, which indicate the underwriters being concerned about control issues. Institutional investors are favored with larger allocations, but their profits do not seem to be higher than other investors'. This finding supports the hypothesis that the underwriter uses his discretion to reward investors who act as a form of insurance by buying shares both in good and bad issues. In addition, the rationing sensitivities of limit bids and large bids are not significantly different for institutional and retail investors. Finally, the discretion is larger when IPOs is heavily oversubscribed.

並列關鍵字

Bookbuilding ； Allocation ； Discretion ； Information Extraction Theory

參考文獻

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